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These are hypothetical performance results that have certain inherent limitations. Learn more

Halifax VXX MartinGale
(101941333)

Created by: AndrewGibbs3 AndrewGibbs3
Started: 04/2016
Stocks
Last trade: 2,465 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $69.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

5.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(19.4%)
Max Drawdown
18
Num Trades
83.3%
Win Trades
7.5 : 1
Profit Factor
9.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                     (0.7%)+2.5%+8.1%(0.4%)+2.6%+3.7%(1.8%)+1.8%(0.8%)+15.7%
2017+3.5%+2.2%+10.2%+15.5%(0.7%)  -    -    -    -    -    -    -  +33.7%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 10 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/24/17 15:50 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,550 13.58 6/29 13:24 13.53 2.07%
Trade id #111756564
Max drawdown($832)
Time6/9/17 14:51
Quant open-2,550
Worst price13.91
Drawdown as % of equity-2.07%
$128
Includes Typical Broker Commissions trade costs of $10.00
5/11/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 2,800 14.30 5/17 10:53 14.91 4.21%
Trade id #111541842
Max drawdown($1,708)
Time5/17/17 10:53
Quant open0
Worst price14.91
Drawdown as % of equity-4.21%
($1,713)
Includes Typical Broker Commissions trade costs of $5.00
4/3/17 9:32 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 4,187 16.27 5/8 11:41 14.69 10.95%
Trade id #110644399
Max drawdown($3,480)
Time4/13/17 15:41
Quant open-2,387
Worst price18.40
Drawdown as % of equity-10.95%
$6,604
Includes Typical Broker Commissions trade costs of $22.50
3/22/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,123 16.86 3/30 9:30 15.47 2.6%
Trade id #110375777
Max drawdown($860)
Time3/27/17 4:01
Quant open-1,123
Worst price17.63
Drawdown as % of equity-2.60%
$1,556
Includes Typical Broker Commissions trade costs of $10.00
3/9/17 14:05 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 526 17.40 3/14 9:30 16.71 0.24%
Trade id #110142364
Max drawdown($78)
Time3/9/17 14:17
Quant open-526
Worst price17.55
Drawdown as % of equity-0.24%
$358
Includes Typical Broker Commissions trade costs of $5.00
2/23/17 9:44 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1,010 18.57 3/7 9:30 17.21 1.51%
Trade id #109783817
Max drawdown($470)
Time2/24/17 9:04
Quant open-511
Worst price19.08
Drawdown as % of equity-1.51%
$1,359
Includes Typical Broker Commissions trade costs of $9.99
2/8/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 473 19.03 2/13 9:30 17.89 0.37%
Trade id #109384758
Max drawdown($113)
Time2/8/17 9:54
Quant open-473
Worst price19.27
Drawdown as % of equity-0.37%
$530
Includes Typical Broker Commissions trade costs of $9.46
12/29/16 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 486 25.02 1/4/17 9:30 23.41 1.27%
Trade id #108243510
Max drawdown($376)
Time12/30/16 14:56
Quant open-486
Worst price25.79
Drawdown as % of equity-1.27%
$770
Includes Typical Broker Commissions trade costs of $9.72
10/27/16 10:15 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 688 32.59 11/8 9:30 33.36 15.01%
Trade id #106704100
Max drawdown($4,022)
Time11/3/16 16:15
Quant open-688
Worst price38.44
Drawdown as % of equity-15.01%
($536)
Includes Typical Broker Commissions trade costs of $9.38
10/13/16 9:31 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 215 35.83 10/19 9:30 32.81 0.58%
Trade id #106424096
Max drawdown($172)
Time10/13/16 10:03
Quant open-215
Worst price36.63
Drawdown as % of equity-0.58%
$645
Includes Typical Broker Commissions trade costs of $4.30
9/29/16 13:52 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1 36.00 9/29 13:52 36.00 n/a $0
Includes Typical Broker Commissions trade costs of $0.02
9/12/16 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 208 39.30 9/22 9:30 33.72 2.29%
Trade id #105818859
Max drawdown($646)
Time9/13/16 14:34
Quant open-208
Worst price42.41
Drawdown as % of equity-2.29%
$1,157
Includes Typical Broker Commissions trade costs of $4.16
8/25/16 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 230 37.58 8/31 9:30 36.16 0.62%
Trade id #105401493
Max drawdown($177)
Time8/26/16 14:32
Quant open-230
Worst price38.35
Drawdown as % of equity-0.62%
$322
Includes Typical Broker Commissions trade costs of $4.60
8/10/16 11:12 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 446 37.51 8/22 9:30 36.40 1.49%
Trade id #105095566
Max drawdown($413)
Time8/17/16 10:03
Quant open-446
Worst price38.44
Drawdown as % of equity-1.49%
$488
Includes Typical Broker Commissions trade costs of $8.92
6/27/16 10:05 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 117 68.80 6/30 9:30 56.36 1.41%
Trade id #104330482
Max drawdown($375)
Time6/27/16 16:15
Quant open-469
Worst price18.00
Drawdown as % of equity-1.41%
$1,453
Includes Typical Broker Commissions trade costs of $2.34
6/9/16 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 531 58.35 6/21 9:30 56.92 27.38%
Trade id #102759721
Max drawdown($5,758)
Time6/16/16 10:02
Quant open-2,122
Worst price17.30
Drawdown as % of equity-27.38%
$752
Includes Typical Broker Commissions trade costs of $7.81
5/17/16 14:25 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 240 63.34 5/24 9:30 61.30 1.22%
Trade id #102396542
Max drawdown($304)
Time5/19/16 11:47
Quant open-479
Worst price16.47
Drawdown as % of equity-1.22%
$485
Includes Typical Broker Commissions trade costs of $4.80
4/29/16 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 115 65.84 5/3 9:30 65.08 2.06%
Trade id #102097258
Max drawdown($507)
Time4/29/16 14:57
Quant open-461
Worst price17.56
Drawdown as % of equity-2.06%
$85
Includes Typical Broker Commissions trade costs of $2.30

Statistics

  • Strategy began
    4/20/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2895.79
  • Age
    97 months ago
  • What it trades
    Stocks
  • # Trades
    18
  • # Profitable
    15
  • % Profitable
    83.30%
  • Avg trade duration
    10.3 days
  • Max peak-to-valley drawdown
    19.41%
  • drawdown period
    June 09, 2016 - June 14, 2016
  • Annual Return (Compounded)
    5.7%
  • Avg win
    $1,120
  • Avg loss
    $745.00
  • Model Account Values (Raw)
  • Cash
    $39,570
  • Margin Used
    $0
  • Buying Power
    $39,570
  • Ratios
  • W:L ratio
    7.52:1
  • Sharpe Ratio
    0.36
  • Sortino Ratio
    0.63
  • Calmar Ratio
    1.286
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -93.49%
  • Correlation to SP500
    0.06680
  • Return Percent SP500 (cumu) during strategy life
    149.92%
  • Return Statistics
  • Ann Return (w trading costs)
    5.7%
  • Slump
  • Current Slump as Pcnt Equity
    9.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.86%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.057%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $745
  • Avg Win
    $1,120
  • Sum Trade PL (losers)
    $2,235.000
  • Age
  • Num Months filled monthly returns table
    96
  • Win / Loss
  • Sum Trade PL (winners)
    $16,807.000
  • # Winners
    15
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    3
  • % Winners
    83.3%
  • Frequency
  • Avg Position Time (mins)
    14761.00
  • Avg Position Time (hrs)
    246.02
  • Avg Trade Length
    10.3 days
  • Last Trade Ago
    2465
  • Regression
  • Alpha
    0.01
  • Beta
    0.04
  • Treynor Index
    0.31
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    31.39
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    63.87
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.95
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.10
  • Avg(MAE) / Avg(PL) - All trades
    1.393
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.867
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.564
  • Hold-and-Hope Ratio
    0.718
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17851
  • SD
    0.13413
  • Sharpe ratio (Glass type estimate)
    1.33093
  • Sharpe ratio (Hedges UMVUE)
    1.29355
  • df
    27.00000
  • t
    2.03302
  • p
    0.02599
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01134
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65038
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03512
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62222
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.94770
  • Upside Potential Ratio
    15.06180
  • Upside part of mean
    0.20766
  • Downside part of mean
    -0.02915
  • Upside SD
    0.14076
  • Downside SD
    0.01379
  • N nonnegative terms
    10.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.31849
  • Mean of criterion
    0.17851
  • SD of predictor
    0.20842
  • SD of criterion
    0.13413
  • Covariance
    -0.00479
  • r
    -0.17140
  • b (slope, estimate of beta)
    -0.11030
  • a (intercept, estimate of alpha)
    0.21364
  • Mean Square Error
    0.01813
  • DF error
    26.00000
  • t(b)
    -0.88709
  • p(b)
    0.80842
  • t(a)
    2.21067
  • p(a)
    0.01803
  • Lowerbound of 95% confidence interval for beta
    -0.36589
  • Upperbound of 95% confidence interval for beta
    0.14528
  • Lowerbound of 95% confidence interval for alpha
    0.01499
  • Upperbound of 95% confidence interval for alpha
    0.41229
  • Treynor index (mean / b)
    -1.61839
  • Jensen alpha (a)
    0.21364
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16890
  • SD
    0.12597
  • Sharpe ratio (Glass type estimate)
    1.34076
  • Sharpe ratio (Hedges UMVUE)
    1.30311
  • df
    27.00000
  • t
    2.04805
  • p
    0.02520
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00227
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66085
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02622
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63245
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.21690
  • Upside Potential Ratio
    14.32720
  • Upside part of mean
    0.19808
  • Downside part of mean
    -0.02917
  • Upside SD
    0.13225
  • Downside SD
    0.01383
  • N nonnegative terms
    10.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.29286
  • Mean of criterion
    0.16890
  • SD of predictor
    0.21019
  • SD of criterion
    0.12597
  • Covariance
    -0.00418
  • r
    -0.15777
  • b (slope, estimate of beta)
    -0.09456
  • a (intercept, estimate of alpha)
    0.19659
  • Mean Square Error
    0.01607
  • DF error
    26.00000
  • t(b)
    -0.81469
  • p(b)
    0.78868
  • t(a)
    2.19219
  • p(a)
    0.01876
  • Lowerbound of 95% confidence interval for beta
    -0.33315
  • Upperbound of 95% confidence interval for beta
    0.14402
  • Lowerbound of 95% confidence interval for alpha
    0.01226
  • Upperbound of 95% confidence interval for alpha
    0.38094
  • Treynor index (mean / b)
    -1.78616
  • Jensen alpha (a)
    0.19659
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04471
  • Expected Shortfall on VaR
    0.05903
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00648
  • Expected Shortfall on VaR
    0.01056
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.98774
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.01774
  • Maximum
    1.16856
  • Mean of quarter 1
    0.99627
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00447
  • Mean of quarter 4
    1.06808
  • Inter Quartile Range
    0.01774
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10714
  • Mean of outliers high
    1.11404
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.40062
  • VaR(95%) (regression method)
    0.00833
  • Expected Shortfall (regression method)
    0.01204
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00711
  • Quartile 1
    0.01006
  • Median
    0.01300
  • Quartile 3
    0.01595
  • Maximum
    0.01889
  • Mean of quarter 1
    0.00711
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01889
  • Inter Quartile Range
    0.00589
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24979
  • Compounded annual return (geometric extrapolation)
    0.21751
  • Calmar ratio (compounded annual return / max draw down)
    11.51300
  • Compounded annual return / average of 25% largest draw downs
    11.51300
  • Compounded annual return / Expected Shortfall lognormal
    3.68464
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17906
  • SD
    0.16910
  • Sharpe ratio (Glass type estimate)
    1.05886
  • Sharpe ratio (Hedges UMVUE)
    1.05758
  • df
    623.00000
  • t
    1.63411
  • p
    0.05137
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21291
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32982
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21378
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32895
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80329
  • Upside Potential Ratio
    4.98940
  • Upside part of mean
    0.49542
  • Downside part of mean
    -0.31636
  • Upside SD
    0.13716
  • Downside SD
    0.09929
  • N nonnegative terms
    99.00000
  • N negative terms
    525.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    624.00000
  • Mean of predictor
    0.39777
  • Mean of criterion
    0.17906
  • SD of predictor
    0.29199
  • SD of criterion
    0.16910
  • Covariance
    0.00327
  • r
    0.06619
  • b (slope, estimate of beta)
    0.03833
  • a (intercept, estimate of alpha)
    0.16400
  • Mean Square Error
    0.02852
  • DF error
    622.00000
  • t(b)
    1.65437
  • p(b)
    0.04928
  • t(a)
    1.49176
  • p(a)
    0.06814
  • Lowerbound of 95% confidence interval for beta
    -0.00717
  • Upperbound of 95% confidence interval for beta
    0.08383
  • Lowerbound of 95% confidence interval for alpha
    -0.05183
  • Upperbound of 95% confidence interval for alpha
    0.37945
  • Treynor index (mean / b)
    4.67114
  • Jensen alpha (a)
    0.16381
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16491
  • SD
    0.16739
  • Sharpe ratio (Glass type estimate)
    0.98517
  • Sharpe ratio (Hedges UMVUE)
    0.98398
  • df
    623.00000
  • t
    1.52038
  • p
    0.06446
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28637
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25600
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28720
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25516
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61706
  • Upside Potential Ratio
    4.76904
  • Upside part of mean
    0.48634
  • Downside part of mean
    -0.32144
  • Upside SD
    0.13296
  • Downside SD
    0.10198
  • N nonnegative terms
    99.00000
  • N negative terms
    525.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    624.00000
  • Mean of predictor
    0.35379
  • Mean of criterion
    0.16491
  • SD of predictor
    0.29791
  • SD of criterion
    0.16739
  • Covariance
    0.00327
  • r
    0.06561
  • b (slope, estimate of beta)
    0.03686
  • a (intercept, estimate of alpha)
    0.15186
  • Mean Square Error
    0.02794
  • DF error
    622.00000
  • t(b)
    1.63983
  • p(b)
    0.05077
  • t(a)
    1.39827
  • p(a)
    0.08127
  • Lowerbound of 95% confidence interval for beta
    -0.00728
  • Upperbound of 95% confidence interval for beta
    0.08101
  • Lowerbound of 95% confidence interval for alpha
    -0.06142
  • Upperbound of 95% confidence interval for alpha
    0.36515
  • Treynor index (mean / b)
    4.47333
  • Jensen alpha (a)
    0.15186
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01625
  • Expected Shortfall on VaR
    0.02048
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00376
  • Expected Shortfall on VaR
    0.00844
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    624.00000
  • Minimum
    0.91967
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10454
  • Mean of quarter 1
    0.99553
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00763
  • Inter Quartile Range
    0.00000
  • Number outliers low
    63.00000
  • Percentage of outliers low
    0.10096
  • Mean of outliers low
    0.98893
  • Number of outliers high
    100.00000
  • Percentage of outliers high
    0.16026
  • Mean of outliers high
    1.01190
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55088
  • VaR(95%) (moments method)
    0.00163
  • Expected Shortfall (moments method)
    0.00671
  • Extreme Value Index (regression method)
    0.40624
  • VaR(95%) (regression method)
    0.00383
  • Expected Shortfall (regression method)
    0.01638
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00265
  • Median
    0.00483
  • Quartile 3
    0.01537
  • Maximum
    0.16532
  • Mean of quarter 1
    0.00088
  • Mean of quarter 2
    0.00376
  • Mean of quarter 3
    0.00723
  • Mean of quarter 4
    0.09298
  • Inter Quartile Range
    0.01271
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.11186
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -20.71690
  • VaR(95%) (moments method)
    0.05075
  • Expected Shortfall (moments method)
    0.05075
  • Extreme Value Index (regression method)
    -0.72003
  • VaR(95%) (regression method)
    0.12710
  • Expected Shortfall (regression method)
    0.14700
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24472
  • Compounded annual return (geometric extrapolation)
    0.21266
  • Calmar ratio (compounded annual return / max draw down)
    1.28632
  • Compounded annual return / average of 25% largest draw downs
    2.28714
  • Compounded annual return / Expected Shortfall lognormal
    10.38270
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.85281
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41538
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.76491
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41915
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6823050000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -143720000000000001810731368448000.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -393365000
  • Max Equity Drawdown (num days)
    5
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Whilst not a MartinGale system in the true sense of the word (as we manage risk) this system will enter up to 6 (but usually only 2-3) short positions in VXX when the opportunity arises. The position size is 30% of the account value for each trade so at times the system may be leveraged, but most often it is never fully invested and risk is managed carefully. There is also a trend following component to the strategy that looks to enter in line with the trend with a trailing stop and profit target in place.

The Halifax VXX MartinGale strategy enters and holds short term short positions in the VXX Exchange Traded Note. It enters during overbought periods and will exit on the first retreat when a (relatively small)profit target is exceeded. Trade length is generally a few days to a couple of weeks and back-tested average trade is around $400, taking into account both wins and losses per $7,500 position).

The trend following component will typically enter into a downtrend on a breakout and runs a trailing stop and profit target. 50% of the account value is utilised for each trade on this component. A stop loss is utilised with the trend following component.

This strategy has a maximum drawdown of just under $10k USD per $25k unit size. The backtested returns can be supplied upon request by e-mailing me at info@halifaxonline.co.nz

Summary Statistics

Strategy began
2016-04-20
Suggested Minimum Capital
$15,000
# Trades
18
# Profitable
15
% Profitable
83.3%
Correlation S&P500
0.067
Sharpe Ratio
0.36
Sortino Ratio
0.63
Beta
0.04
Alpha
0.01

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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